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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

OCTOBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE * * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price * * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * * 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price * * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price * * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price * * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * * 0.0 0.0 0.0 0.0 0.0
Standard Deviation * * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * * 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 95.5 97.9 99.8 101.5 0.0 0.0 0.0
Weighted Avg. Price 95.5 97.9 99.8 101.5 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 95.5 97.9 99.8 101.5 0.0 0.0 0.0
2nd Quartile Price 95.5 97.9 99.8 101.5 0.0 0.0 0.0
3rd Quartile Price 95.5 97.9 99.8 101.5 0.0 0.0 0.0
4th Quartile Price 95.5 97.9 99.8 101.5 0.0 0.0 0.0
Avg. Price Top 5 Trades 95.6 98.0 99.9 101.5 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 318,979.0 1,840,548.0 3,091,463.7 1,906,900.8 0.0 0.0 0.0
     NUMBER OF TRADES 51 186 280 127 0 0 0
FHLMC
AVERAGE PRICE 95.5 97.7 99.8 101.6 0.0 0.0 0.0
Weighted Avg. Price 95.5 97.7 99.8 101.6 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 95.5 97.7 99.7 101.5 0.0 0.0 0.0
2nd Quartile Price 95.5 * 99.8 101.5 0.0 0.0 0.0
3rd Quartile Price 95.5 * 99.8 101.6 0.0 0.0 0.0
4th Quartile Price 95.6 * 99.8 101.6 0.0 0.0 0.0
Avg. Price Top 5 Trades 95.5 97.7 99.8 101.6 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 161,170.0 31,050.0 112,200.5 95,454.7 0.0 0.0 0.0
     NUMBER OF TRADES 9 5 13 15 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 97.8 99.7 101.4 0.0 0.0 0.0
Weighted Avg. Price 0.0 97.8 99.8 101.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 97.8 99.7 101.3 0.0 0.0 0.0
2nd Quartile Price 0.0 97.8 99.7 101.3 0.0 0.0 0.0
3rd Quartile Price 0.0 97.8 99.7 101.4 0.0 0.0 0.0
4th Quartile Price 0.0 97.8 99.8 101.4 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 97.8 99.7 101.4 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 355,000.0 308,250.0 236,000.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 14 9 13 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 * 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 0.0 * 101.3 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 101.3 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 101.2 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 101.2 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 101.3 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 101.3 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 101.3 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 36,000.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 14 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 * 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

OCTOBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 * * * * 0.0 *
Weighted Avg. Price 0.0 * * * * 0.0 *
Avg. Price Bottom 5 Trades 0.0 * * * * 0.0 *
2nd Quartile Price 0.0 * * * * 0.0 *
3rd Quartile Price 0.0 * * * * 0.0 *
4th Quartile Price 0.0 * * * * 0.0 *
Avg. Price Top 5 Trades 0.0 * * * * 0.0 *
Standard Deviation 0.0 * * * * 0.0 *
     VOLUME OF TRADES (000'S) 0.0 * * * * 0.0 *
     NUMBER OF TRADES 0 * * * * 0 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 * * 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 * * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 * * 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 * * 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 * * 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 * * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 * * 0.0
Standard Deviation 0.0 0.0 0.0 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 * * 0.0
     NUMBER OF TRADES 0 0 0 0 * * 0
GNMA
AVERAGE PRICE 0.0 0.0 * * 103.3 * 0.0
Weighted Avg. Price 0.0 0.0 * * 103.4 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 103.3 * 0.0
2nd Quartile Price 0.0 0.0 * * * * 0.0
3rd Quartile Price 0.0 0.0 * * * * 0.0
4th Quartile Price 0.0 0.0 * * * * 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 103.3 * 0.0
Standard Deviation 0.0 0.0 * * 0.2 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 25,954.1 * 0.0
     NUMBER OF TRADES 0 0 * * 5 * 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 94.4 97.2 99.9 102.3 104.3 *
Weighted Avg. Price 0.0 94.5 97.3 99.9 102.2 104.3 *
Avg. Price Bottom 5 Trades 0.0 94.2 97.2 99.8 102.2 104.2 *
2nd Quartile Price 0.0 94.4 97.2 99.9 102.2 104.2 *
3rd Quartile Price 0.0 94.4 97.2 99.9 102.2 104.3 *
4th Quartile Price 0.0 94.4 97.2 99.9 102.3 104.3 *
Avg. Price Top 5 Trades 0.0 94.5 97.3 100.5 102.6 104.4 *
Standard Deviation 0.0 0.1 0.0 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) 0.0 3,822,685.0 16,255,147.7 19,826,372.1 10,902,983.3 1,530,336.0 *
     NUMBER OF TRADES 0 83 367 905 550 120 *
FHLMC
AVERAGE PRICE 0.0 94.4 97.3 99.9 102.4 104.3 *
Weighted Avg. Price 0.0 94.5 97.2 99.9 102.3 104.3 *
Avg. Price Bottom 5 Trades 0.0 94.4 97.2 99.9 102.3 104.3 *
2nd Quartile Price 0.0 94.4 97.2 99.9 102.3 104.3 *
3rd Quartile Price 0.0 94.4 97.2 99.9 102.3 104.3 *
4th Quartile Price 0.0 94.4 97.3 99.9 102.4 104.3 *
Avg. Price Top 5 Trades 0.0 94.4 97.3 100.0 102.6 104.3 *
Standard Deviation 0.0 0.0 0.0 0.1 0.3 0.0 *
     VOLUME OF TRADES (000'S) 0.0 883,220.0 175,755.0 1,888,925.5 2,250,350.5 79,237.9 *
     NUMBER OF TRADES 0 13 16 54 35 13 *
GNMA
AVERAGE PRICE 0.0 95.4 98.2 100.5 102.5 103.9 *
Weighted Avg. Price 0.0 95.5 98.2 100.6 102.5 104.0 *
Avg. Price Bottom 5 Trades 0.0 95.3 98.1 100.4 102.3 103.7 *
2nd Quartile Price 0.0 95.4 98.1 100.5 102.4 103.8 *
3rd Quartile Price 0.0 95.5 98.1 100.5 102.4 103.8 *
4th Quartile Price 0.0 95.5 98.2 100.5 102.5 103.9 *
Avg. Price Top 5 Trades 0.0 95.6 98.5 100.7 103.4 105.7 *
Standard Deviation 0.0 0.2 0.3 0.1 0.2 0.5 *
     VOLUME OF TRADES (000'S) 0.0 1,223,220.0 3,283,622.1 12,747,446.7 3,035,232.9 673,799.8 *
     NUMBER OF TRADES 0 37 88 160 188 77 *
DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 94.3 97.1 99.8 102.1 104.1 *
Weighted Avg. Price 0.0 94.4 97.2 99.8 102.1 104.1 *
Avg. Price Bottom 5 Trades 0.0 94.3 97.1 99.7 102.0 104.1 *
2nd Quartile Price 0.0 94.3 97.1 99.7 102.1 104.1 *
3rd Quartile Price 0.0 94.3 97.2 99.8 102.1 104.1 *
4th Quartile Price 0.0 94.4 97.2 99.8 102.1 104.1 *
Avg. Price Top 5 Trades 0.0 94.4 97.2 99.8 102.2 104.2 *
Standard Deviation 0.0 0.1 0.1 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 2,679,396.0 8,400,417.0 6,276,465.0 983,265.0 428,550.0 *
     NUMBER OF TRADES 0 13 10 93 123 57 *
FHLMC
AVERAGE PRICE 0.0 94.3 * 99.8 102.1 * 0.0
Weighted Avg. Price 0.0 94.4 * 99.8 102.1 * 0.0
Avg. Price Bottom 5 Trades 0.0 94.3 * 99.8 102.1 * 0.0
2nd Quartile Price 0.0 * * 99.8 102.1 * 0.0
3rd Quartile Price 0.0 * * 99.8 102.1 * 0.0
4th Quartile Price 0.0 * * 99.8 102.1 * 0.0
Avg. Price Top 5 Trades 0.0 94.3 * 99.8 102.1 * 0.0
Standard Deviation 0.0 0.1 * 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 810,000.0 * 931,000.0 1,184,500.0 * 0.0
     NUMBER OF TRADES 0 5 * 15 12 * 0
GNMA
AVERAGE PRICE 0.0 95.4 98.1 100.4 102.2 103.6 0.0
Weighted Avg. Price 0.0 95.5 98.2 100.5 102.3 103.7 0.0
Avg. Price Bottom 5 Trades 0.0 95.4 98.1 100.3 102.2 103.5 0.0
2nd Quartile Price 0.0 * * 100.3 102.2 103.6 0.0
3rd Quartile Price 0.0 * * 100.4 102.3 103.7 0.0
4th Quartile Price 0.0 * * 100.4 102.3 103.7 0.0
Avg. Price Top 5 Trades 0.0 95.4 98.1 100.5 102.4 103.7 0.0
Standard Deviation 0.0 0.1 0.1 0.0 0.1 0.1 0.0
     VOLUME OF TRADES (000'S) 0.0 620,000.0 1,556,000.0 10,222,750.0 559,150.0 326,550.0 0.0
     NUMBER OF TRADES 0 5 10 51 90 47 0
JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 * * 99.6 102.0 104.0 *
Weighted Avg. Price 0.0 * * 99.6 102.0 104.0 *
Avg. Price Bottom 5 Trades 0.0 * * 99.6 101.9 104.0 *
2nd Quartile Price 0.0 * * 99.6 101.9 104.0 *
3rd Quartile Price 0.0 * * 99.6 101.9 104.0 *
4th Quartile Price 0.0 * * 99.6 102.0 104.0 *
Avg. Price Top 5 Trades 0.0 * * 99.7 102.1 104.1 *
Standard Deviation 0.0 * * 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 * * 299,950.0 850,590.0 92,100.0 *
     NUMBER OF TRADES 0 * * 64 120 25 *
FHLMC
AVERAGE PRICE 0.0 0.0 * 99.7 102.0 * *
Weighted Avg. Price 0.0 0.0 * 99.7 102.0 * *
Avg. Price Bottom 5 Trades 0.0 0.0 * 99.7 102.0 * *
2nd Quartile Price 0.0 0.0 * 99.7 102.0 * *
3rd Quartile Price 0.0 0.0 * 99.7 102.1 * *
4th Quartile Price 0.0 0.0 * 99.7 102.1 * *
Avg. Price Top 5 Trades 0.0 0.0 * 99.7 102.0 * *
Standard Deviation 0.0 0.0 * 0.0 0.1 * *
     VOLUME OF TRADES (000'S) 0.0 0.0 * 801,500.0 37,000.0 * *
     NUMBER OF TRADES 0 0 * 10 7 * *
GNMA
AVERAGE PRICE 0.0 * * 100.2 102.1 103.5 *
Weighted Avg. Price 0.0 * * 100.3 102.1 103.5 *
Avg. Price Bottom 5 Trades 0.0 * * 100.2 102.1 103.5 *
2nd Quartile Price 0.0 * * 100.2 102.1 103.5 *
3rd Quartile Price 0.0 * * 100.2 102.1 103.5 *
4th Quartile Price 0.0 * * 100.3 102.1 103.5 *
Avg. Price Top 5 Trades 0.0 * * 100.3 102.2 103.6 *
Standard Deviation 0.0 * * 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 * * 134,250.0 315,500.0 75,600.0 *
     NUMBER OF TRADES 0 * * 31 72 28 *
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.